Biagini, Francesca
ORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983; Oksendal, Bernt and Paczka, Krzysztof
(2018):
Optimal control with delayed information flow of systems driven by G-Brownian motion.
In: Probability Uncertainty and Quantitative Risk, Vol. 3
Additional link: https://doi.org/10.48550/arXiv.1402.3139
Abstract
In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 2367-0126 |
| Language: | English |
| Item ID: | 66357 |
| Date Deposited: | 19. Jul 2019, 12:19 |
| Last Modified: | 12. Sep 2024, 11:55 |
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